Returns on negative beta securities: implications for the empirical SML

Autor:	Yvette M. Bendeck, Dale O. Cloninger, Edward R. Waller, Lee Revere
Rok vydání:	2004
Předmět:	Economics and Econometrics Econometrics Range (statistics) Economics Discount points Beta (finance) Security market line Finance
Zdroj:	Applied Financial Economics. 14:397-402
ISSN:	1466-4305 0960-3107
DOI:	10.1080/09603100410001673621
Popis:	Traditional textbook analysis either presumes or graphically depicts a monotonically positively sloped security market line (SML). Tests to empirically derive the SML also presume such a function. This paper argues that over the range of negative betas the SML is not positively sloped but negatively sloped. The SML over both negative and positive ranges, therefore, forms a ‘V’ shaped function with the point of the ‘V’ at a beta of zero and a return equal to the risk-free rate. Empirical tests confirm a negative sloped SML over the range of negative betas. The tests also indicate that the returns of negative beta securities equal or exceed those for their positive beta counterparts. Traditional theory suggests the returns of negative beta securities are less than the risk-free rate. The preliminary empirical analysis indicates otherwise.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::3ca324f909af7ef968917c8e6ec2c0f5 https://doi.org/10.1080/09603100410001673621 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.